The RF-to-RF loopback is implemented in the FPGA fabric in the AD9361 HDL reference design, it is not available inside the AD9361 itself.

Have a look at the AXI_AD9361 [Analog Devices Wiki] user guide to see how to enable loopback operation. If you are not using the AXI_AD9361 core, you need to implement the loopback functionality in your own HDL.